Can a simple structural time series model beat the random walk?

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Clustering Random Walk Time Series

We present in this paper a novel non-parametric approach useful for clustering independent identically distributed stochastic processes. We introduce a pre-processing step consisting in mapping multivariate independent and identically distributed samples from random variables to a generic non-parametric representation which factorizes dependency and marginal distribution apart without losing an...

متن کامل

Random Walk Approach to Simple Evolution Model

The dynamics of the avalanche width in the evolution model is described using a random walk picture. In this approach the critical exponents for avalanche distribution, τ , and avalanche average time, γ, are found to be the same as in the previous mean field approximation but SOC appear at λ critical = 2/3, which is very close to numerical value. A continuous time random walk is studied numeric...

متن کامل

The simple random walk on a random Voronoi tiling

Let P be a Poisson point process in Rd with intensity 1. We show that the simple random walk on the cells of the Voronoi diagram of P is almost surely recurrent in dimensions d = 1 and d = 2 and is almost surely transient in dimension d ≥ 3.

متن کامل

Coupled Random Walk Approach to Complex Financial Time Series

The normalization in Cij assures that we use walks with the same widths of displacement distributions for modeling, even though the fluctuations in stock returns

متن کامل

Random Walk Null Models for Time Series Data

Permutation entropy has become a standard tool for time series analysis that exploits the temporal and ordinal relationships within data. Motivated by a Kullback–Leibler divergence interpretation of permutation entropy as divergence from white noise, we extend pattern-based methods to the setting of random walk data. We analyze random walk null models for correlated time series and describe a m...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Malaysian Journal of Fundamental and Applied Sciences

سال: 2014

ISSN: 2289-599X,2289-5981

DOI: 10.11113/mjfas.v2n1-2.18